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"Derivative"exercise:call option

来源: 正保会计网校 2021-02-25
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Questions 1:

For a call option, if the underlying asset’s value is less than the option’s exercise price, the option is said to be:

A 、at the money.

B 、out of the money.

C、 in the money.

Questions 2:

In efficient financial markets, risk-free arbitrage opportunities:

A、 will not exist.

B 、may persist in the long run.

C 、may exist temporarily.

View answer resolution
【Answer to question 1】B

【analysis】

B is correct. If the underlying asset’s value is less than the option’s exercise price, the call option is not worth exercising and is said to be out of the money. 

A is incorrect. For an at-the-money call option, the value of the underlying asset is equal to the option’s exercise price, and the option buyer would be indifferent between exercising or not exercising the option.

 C is incorrect. For an in-the-money call option, the value of the underlying asset is greater than the option’s exercise price, and the option is worth exercising.

【Answer to question 2】C

【analysis】

C is correct. In efficient financial markets, risk-free arbitrage opportunities may exist temporarily, but their continuous exploitation will eliminate these arbitrage opportunities in the long run. 

A is incorrect. Financial markets being efficient does not mean that risk-free arbitrage opportunities cannot exist.

 B is incorrect. In efficient financial markets, any risk-free arbitrage opportunities will exist only temporarily because their continuous exploitation will result in these arbitrage opportunities being eliminated in the long run.

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